MRCI's ScenarioSM Study

ScenarioSM Study for August RBOB Gasoline(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		6	16	17	18	21	21	23	23	23	23	23
Closed Higher		4	8	8	7	12	13	13	18	16	13	11
Exceeded High		3	6	5	6	11	11	13	17	13	11	10
Scenario Percentage		75%	75%	63%	86%	92%	85%	100%	94%	81%	85%	91%
Avg Max Increase		11.78%	8.37%	6.98%	11.60%	8.93%	15.24%	13.97%	9.79%	10.80%	10.60%	9.15%
Max Increase		27.22%	17.17%	11.02%	20.89%	20.34%	33.07%	26.78%	24.96%	35.06%	16.94%	18.79%
Avg Days To Max Increase		19	17	24	13	19	18	17	15	17	16	16
Avg Max Decline		0.64%	-1.50%	-0.99%	0.27%	-0.89%	-2.30%	-2.06%	-2.51%	-2.23%	-5.11%	-1.96%
Max Decline		-2.71%	-6.20%	-2.70%	-1.00%	-7.85%	-8.53%	-6.78%	-7.23%	-12.59%	-11.35%	-4.69%
Avg Days to Max Decline		6	4	15	6	9	10	6	6	8	12	4
2008 Contract Condition			Yes	Yes		Yes		Yes		Yes	Yes	Yes
Action			Yes	Yes		Yes		Yes		Yes	Yes	Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		6	16	17	18	21	21	23	23	23	23	23
Closed Lower		2	7	9	11	9	8	10	5	7	10	12
Penetrated Low		1	5	7	9	6	4	5	4	5	9	7
Scenario Percentage		50%	71%	78%	82%	67%	50%	50%	80%	71%	90%	58%
Avg Max Decline		4.84%	9.67%	10.17%	9.23%	15.03%	16.54%	8.17%	7.76%	7.87%	11.61%	11.07%
Max Decline		4.84%	16.46%	19.18%	24.00%	38.53%	36.69%	20.43%	12.79%	11.10%	22.71%	21.86%
Avg Days To Max Decline		5	19	15	19	17	17	11	10	16	19	22
Avg Max Increase		-2.09%	-0.24%	-1.96%	-1.35%	-2.16%	0.02%	-3.19%	-0.92%	-3.43%	-2.85%	-1.81%
Max Increase		-2.09%	-1.81%	-4.96%	-11.66%	-5.81%	-1.13%	-8.84%	-5.11%	-7.24%	-10.57%	-4.95%
Avg Days to Max Increase		5	9	3	9	10	8	12	6	12	10	5
2008 Contract Condition		Yes			Yes		Yes		Yes
Action		No			Yes		No		No
High	217.84	212.67	221.08	244.01	255.20	260.42	265.99	270.23	273.07	303.54	342.17	360.21
Low	209.45	198.39	207.26	213.25	238.21	237.42	237.12	238.41	250.00	256.77	279.96	314.75
Close/Last	214.14	206.30	217.81	244.01	238.21	257.33	249.47	266.74	259.86	287.88	330.77	349.91